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Đa dạng hóa, hiệu quả và rủi ro tại các ngân hàng thương mại Việt Nam - 29


Regression with Driscoll-Kraay

standard errors

Number of

obs

=

278

Method: Pooled OLS


Number of

groups

=

25

Group variable (i): bank


F( 5,

24)

=

5.04

maximum lag: 2


Prob > F


=

0.0027



R-squared


=

0.0212



Root MSE


=

0.1608


-------------------------------------------------------------------------------


Sta_inef

|

|


Coef.

Drisc/Kraay

Std. Err.


t


P>|t|


[95% Conf. Interval]

--------------+----------------------------------------------------------------

foc_asse

|

-.126128

.072281

-1.74

0.094

-.2753088

.0230527

mar_shar

|

.0908937

.0979169

0.93

0.363

-.1111968

.2929843

exp_asse

|

.3658119

.8309938

0.44

0.664

-1.349275

2.080899

cos_inco

|

.0006663

.0014779

0.45

0.656

-.002384

.0037166

nlo_asse

|

-.0011254

.0004821

-2.33

0.028

-.0021204

-.0001304

_cons

|

.1109086

.0754644

1.47

0.155

-.0448422

.2666594

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Đa dạng hóa, hiệu quả và rủi ro tại các ngân hàng thương mại Việt Nam - 29

-------------------------------------------------------------------------------



Regression with Driscoll-Kraay

standard errors

Number of

obs =

278

Method: Pooled OLS


Number of

groups =

25

Group variable (i): bank


F( 5,

24) =

2.20

maximum lag: 2


Prob > F

=

0.0873



R-squared

=

0.0267



Root MSE

=

0.1603


-------------------------------------------------------------------------------


Sta_inef

|

|


Coef.

Drisc/Kraay

Std. Err.


t


P>|t|


[95% Conf. Interval]

--------------+----------------------------------------------------------------

div_inco

|

.1301989

.0878881

1.48

0.152

-.0511931

.311591

mar_shar

|

-.0054291

.0876363

-0.06

0.951

-.1863016

.1754435

exp_asse

|

.2964569

.9134288

0.32

0.748

-1.588768

2.181681

cos_inco

|

.0008281

.0015098

0.55

0.588

-.002288

.0039441

nlo_asse

|

-.0006211

.0002458

-2.53

0.019

-.0011284

-.0001138

_cons

|

-.0170176

.0551949

-0.31

0.761

-.1309343

.0968991

-------------------------------------------------------------------------------


Phụ lục I3: Mô hình động đo lường tác động đa dạng hóa đến rủi ro các NHTM Việt Nam: Biến Loa_loss


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

259

Time variable : time

Number of groups

=

25

Number of instruments = 23

Obs per group: min

=

0

F(6, 25) = 62.94

avg

=

10.36

Prob > F = 0.000

max

=

16

-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |


L1. |

.0118853

.1071802

0.11

0.913

-.2088565

.232627

|







foc_depo |

.0042449

.0010941

3.88

0.001

.0019916

.0064982

mar_shar |

.0062359

.0239596

0.26

0.797

-.0431098

.0555815

exp_asse |

.5484391

.163646

3.35

0.003

.2114038

.8854745

cos_inco |

.000101

.0000409

2.47

0.021

.0000167

.0001853

nlo_asse |

.0000431

.000021

2.05

0.051

-.0000863

1.58e-07

-------------------------------------------------------------------------------


Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_depo ) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.20 Pr > z = 0.028 Arellano-Bond test for AR(2) in first differences: z = -0.74 Pr > z = 0.258

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(43) = 42.02 Prob > chi2 = 0.509 (Not robust, but not weakened by many instruments.)


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

253

Time variable : time

Number of groups

=

25

Number of instruments = 21

Obs per group: min

=

0

F(6, 25) = 57.460

avg

=

10.12

Prob > F = 0.000

max

=

16



-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |


L1. |

.0879035

.0801181

1.10

0.283

-.0771028

.2529099

|

foc_loan |


.0088709


.0035398


2.51


0.019


.0015806


.0161612

mar_shar |

.1054677

.0413944

2.55

0.017

.0202144

.1907211

exp_asse |

.6686059

.1047647

6.38

0.000

.4528389

.8843729

cos_inco |

.0000517

.0000668

0.77

0.447

-.0001893

.000086

nlo_asse |

.0001136

.0000205

5.54

0.000

-.0001559

-.0000714

-------------------------------------------------------------------------------


Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_loan)

collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.79 Pr > z = 0.005 Arellano-Bond test for AR(2) in first differences: z = -1.47 Pr > z = 0.143

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(27) = 17.22 Prob > chi2 = 0.926 (Not robust, but not weakened by many instruments.)


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

259

Time variable : time

Number of groups

=

25

Number of instruments = 23

Obs per group: min

=

0

F(6, 25) = 227.23

avg

=

10.36

Prob > F = 0.000

max

=

16

-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |


L1. |

-.0132574

.0670129

-0.20

0.845

-.151273

.1247583

|







foc_asse |

.0064387

.0015333

4.20

0.000

.0032808

.0095966

mar_shar |

-.0331528

.0217332

-1.53

0.140

-.0779131

.0116075

exp_asse |

.5954016

.1053856

5.65

0.000

.378356

.8124473

cos_inco |

.0001443

.0000323

4.47

0.000

.0000778

.0002108

nlo_asse |

-.0000393

.0000294

-1.34

0.193

-.0000998

.0000212

-------------------------------------------------------------------------------



Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_asse ) collapsed


------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.99 Pr > z = 0.003 Arellano-Bond test for AR(2) in first differences: z = -4.11 Pr > z = 0.133

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(47) = 52.05 Prob > chi2 = 0.375 (Not robust, but not weakened by many instruments.)


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

259

Time variable : time

Number of groups

=

25

Number of instruments = 22

Obs per group: min

=

0

F(6, 25) = 128.05

avg

=

10.36

Prob > F = 0.000

max

=

16


-------------------------------------------------------------------------------

loa_loss | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

loa_loss |


L1. |

.1794719

.0457002

3.93

0.001

.0853506

.2735932

|

div_inco |


.0061398


.0015408


3.98


0.001


.0029664


.0093132

mar_shar |

-.0028764

.0342891

-0.08

0.934

-.0734961

.0677433

exp_asse |

.356518

.1171249

3.04

0.005

.1152948

.5977412

cos_inco |

.0000853

.000034

2.51

0.019

.0000152

.0001554

nlo_asse |

-9.77e-06

.0000283

-0.35

0.733

-.000068

.0000484

-------------------------------------------------------------------------------


Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.div_inco )

collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -4.28 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = -1.54 Pr > z = 0.123

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(34) = 22.12 Prob > chi2 = 0.942 (Not robust, but not weakened by many instruments.)


Phụ lục I4: Mô hình động đo lường tác động của đa dạng hóa đến rủi ro các NHTM Việt Nam: Biến Sta_inef


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

192

Time variable : time

Number of groups

=

25

Number of instruments = 23

Obs per group: min

=

2

F(6, 25) = 28.520

avg

=

7.68

Prob > F = 0.000

max

=

14


----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------


Sta_inef

L1.

|

|


.6226691


6.45e-08


9.7e+06


0.000


.6226689


.6226692


|







foc_depo

|

9.27e-08

4.01e-08

2.31

0.029

1.02e-08

1.75e-07

mar_shar

|

-5.76e-07

4.72e-07

-1.22

0.234

-1.55e-06

3.97e-07

exp_asse

|

4.44e-06

2.61e-06

1.70

0.101

-9.31e-07

9.82e-06

cos_inco

|

9.23e-10

2.66e-10

3.47

0.002

-1.47e-09

-3.75e-10

nlo_asse

|

-9.71e-10

7.84e-10

-1.24

0.227

-2.59e-09

6.44e-10

----------------------------------------------------------------------------------


Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_depo)

collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.29 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 1.35 Pr > z = 0.176

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(25) = 24.94 Prob > chi2 = 0.466 (Not robust, but not weakened by many instruments.)


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

189

Time variable : time

Number of groups

=

25

Number of instruments = 24

Obs per group: min

=

2

F(6, 25) = 78.880

avg

=

7.56

Prob > F = 0.000

max

=

14



----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------

Sta_inef |


L1. |

|

.6226691

2.65e-09

2.3e+08

0.000

.6226691

.6226691

foc_loan |

1.21e-07

5.65e-08

2.15

0.042

5.03e-09

2.38e-07

mar_shar |

-1.09e-06

1.11e-06

-0.98

0.337

-3.37e-06

1.20e-06

exp_asse |

7.07e-06

3.11e-06

2.28

0.032

6.70e-07

.0000135

cos_inco |

-4.53e-12

7.75e-10

-0.01

0.995

-1.60e-09

1.59e-09

nlo_asse |

-2.05e-09

2.71e-09

-0.76

0.457

-7.63e-09

3.53e-09

----------------------------------------------------------------------------------


Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_loan) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.14 Pr > z = 0.002 Arellano-Bond test for AR(2) in first differences: z = 1.47 Pr > z = 0.140

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(37) = 37.51 Prob > chi2 = 0.446 (Not robust, but not weakened by many instruments.)


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------- -----


Group variable: bank

Number of obs

=

192

Time variable : time

Number of groups

=

25

Number of instruments = 22

Obs per group: min

=

2

F(8, 25) = 93.350

avg

=

7.68

Prob > F = 0.000

max

=

14


----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------


Sta_inef |

L1. |


.6226692


6.16e-09


1.0e+08


0.000


.6226692


.6226692

|

foc_asse |


3.80E-08


1.90E-08


4.11


0.000


7.97e-10


2.40e-09

mar_shar |

1.34e-07

4.64e-07

0.29

0.775

-8.22e-07

1.09e-06

exp_asse |

-2.22e-06

1.80e-06

-1.23

0.229

-5.94e-06

1.49e-06

cos_inco |

-1.88e-10

5.44e-10

-0.35

0.732

-1.31e-09

9.33e-10

nlo_asse |

8.06e-10

4.30e-10

1.88

0.072

-7.88e-11

1.69e-09

----------------------------------------------------------------------------------



Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_asse ) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.24 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 1.59 Pr > z = 0.104

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(71) = 54.17 Prob > chi2 = 0.931 (Not robust, but not weakened by many instruments.)


Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------


Group variable: bank

Number of obs

=

192

Time variable : time

Number of groups

=

25

Number of instruments = 24

Obs per group: min

=

2

F(6, 25) = 45.860

avg

=

7.68

Prob > F = 0.000

max

=

14

----------------------------------------------------------------------------------

Sta_inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-----------------+----------------------------------------------------------------


Sta_inef |

L1. |


.6226691


5.84e-09


1.1e+08


0.000


.6226691


.6226692

|







div_inco |

1.05E-07

4.60E-08

3.26

0.003

1.65e-09

7.32e-09

mar_shar |

-3.59e-08

5.37e-07

-0.07

0.947

-1.14e-06

1.07e-06

exp_asse |

6.93e-07

3.79e-06

0.18

0.857

-7.12e-06

8.50e-06

cos_inco |

1.96e-10

9.04e-10

0.22

0.830

-1.67e-09

2.06e-09

nlo_asse |

-3.09e-10

8.19e-10

-0.38

0.709

-2.00e-09

1.38e-09

----------------------------------------------------------------------------------


Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.div_inco) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.24 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 1.23 Pr > z = 0.212

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(45) = 41.72 Prob > chi2 = 0.612 (Not robust, but not weakened by many instruments.)


PHỤ LỤC J: CÁC MÔ HÌNH ĐO LƯỜNG TÁC ĐỘNG ĐỒNG THỜI CỦA ĐA DẠNG HÓA, HIỆU QUẢ HOẠT ĐỘNG KINH DOANH, RỦI RO TẠI CÁC NHTM VIỆT NAM

Phụ lục J1: các mô hình đo lường tác động đồng thời đa dạng hóa, hiệu quả hoạt động kinh doanh, rủi ro (Loa_loss) các NHTM Việt Nam: Biến ROA


Seemingly unrelated regression

--------------------------------------------------------------------------

Equation Obs Parms RMSE "R-sq" chi2 P

--------------------------------------------------------------------------


roa

307

6

.3921148

0.7379

1170.07

0.0000

loa_loss

307

6

.0031353

0.6778

994.55

0.0000

foc_depo

307

5

.1444418

0.0343

22.38

0.0004

--------------------------------------------------------------------------


-------------------------------------------------------------------------------

| Coef. Std. Err. z P>|z| [95% Conf. Interval]

--------------+----------------------------------------------------------------

foc_depo |


roa |

.0510248

.012933

3.95

0.000

.0256766

.076373

loa_loss |

6.223125

1.811681

3.44

0.001

2.672296

9.773954

ln_asse |

-.0023502

.0021066

-1.12

0.265

-.006479

.0017787

equ_asse |

-.122066

.1621825

-0.75

0.452

-.4399378

.1958059

dep_asse |

.1317953

.0669706

1.97

0.049

.0005353

.2630554

_cons |

.4965967

.0578046

8.59

0.000

.3833018

.6098916

-------------------------------------------------------------------------------

loa_loss |


roa |

-.0079927

.0003155

-25.33

0.000

-.0086111

-.0073744

foc_depo |

.0031477

.0011739

2.68

0.007

.000847

.0054485

mar_shar |

.0119355

.0031219

3.82

0.000

.0058166

.0180545

exp_asse |

.3221071

.0326884

9.85

0.000

.2580389

.3861752

cos_inco |

.0003288

.0000191

17.18

0.000

-.0003663

.0002913

nlo_asse |

-.0000195

.0000117

-1.67

0.094

-.0000424

3.36e-06

_cons |

.0241171

.0015478

15.58

0.000

.0210834

.0271507

--------------+----------------------------------------------------------------

roa |


loa_loss |

-90.02769

4.393049

-20.49

0.000

-98.63791

-81.41747

foc_depo |

.4338834

.1575288

2.75

0.006

.1251326

.7426342

Ln_asse |

.0144124

.0044272

3.26

0.001

.0057353

.0230894

tlo_asse |

.8987807

.1709933

5.26

0.000

.5636401

1.233921

mar_shar |

-.3073937

.429218

-0.72

0.474

-1.148645

.533858

equ_asse |

2.17912

.4701853

4.63

0.000

1.257574

3.100666

_cons |

1.998174

.1484106

13.46

0.000

1.707294

2.289053

--------------+----------------------------------------------------------------

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